The Anatomy of Distressed Debt Markets
本文梳理了过去30年困境债务市场的发展，分析了其规模、策略和表现，并基于独特数据库展示了1987-2016年违约前后的投资业绩，发现整体表现平平，但2006-2016年因2005年美国破产法改革等因素，业绩显著改善。
Over the last 30 years, the distressed debt market has come a long way and is now a legitimate investment asset class, albeit with periodic dramatic activity. Despite the benign credit cycle in US markets since the last great financial crisis, there are still more than 200 financial institutions in the United States, and a large number operating in other countries, such as Italy, Brazil, and India, specializing in investment in distressed and defaulted bonds and nonperforming loans. We document this novel and intriguing investment market, with a discussion of size, strategies, and performance. We also present new empirical results on pre- and postdefault experience, leveraging our unique databases on bond and loan prices and our indexes of performance of defaulted bonds and bank loans. The results show that the investment performance in distressed debt is not particularly impressive over the entire sample (1987–2016). For the last 10 years (2006–2016), however, the results are much better for overall outperformance, especially those using several strategies with respect to the seniority of the debt and market timing. This is due perhaps to favorable changes for creditors in the US bankruptcy code in 2005.